I am using two-step System GMM for my estimation, with a panel which has 20 industries observed over 35 years (i.e.T=35 and N=20). However, the results show that I have too many instruments. I have been trying to collapse the data but I do not know how to go about it. Pleasehelp.
Further, my estimated coefficients carry opposite signs in levels and in the first lag, for each variable. Is this normal or there is something I could be doing wrongly.
Please Help
Grant Kabango
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